Congratulations on your impending new arrival OP! I hope reading about others' experiences helps, but as long as you make sure you're well informed and keep an open mind for the big day, you'll make the best decision for you and your baby.
I didn't have an epidural with my first as I wanted to give birth at the local Maternity Hospital and they didn't offer them, plus I wanted to be in the pool. I used a TENS machine for the first 10 hours, then had gas and air and have been quoted as having said "I feel like I'm about to pass out outside a kebab house". Utterly charming! Being in the water helped (although I never got the urge to push, so had to get out for the pushing stage), but overall, I found the experience incredibly painful and stressful - I felt totally out of control.
I had a 23.5 hour, corkscrew labour with no epidural and nobody came and presented me with a medal the next day. I was disappointed, and vowed only to give birth under the influence of an epidural in future...
I had an epidural with my second (after 3 hours of TENS, a shot of Pethadine, then gas and air) once the 'real' pain kicked in and I suddenly remembered how much it was going to hurt!
I was in a 'big' hospital that time round, so it was available. It was an easy procedure to have it inserted and I didn't have to have a catheter (which I was relieved about), it worked like a dream - I went from out of control, climbing the walls pain to pain-free within about 10 minutes. I could still feel the sensation of tightening during the contractions, but they didn't hurt. I even managed to fall asleep for 2 hours after I'd had it and woke up with the urge to push and upon examination I was 10 cm and ready to go!
There were no nasty side effects (for either me or baby) and was able to walk to the loo 20 minutes after she was born and was discharged 12 hours after the birth. 8.5 hours start to finish and a really easy, peaceful experience in comparison with my first.
Epidurals = Highly Recommended by this Mummy! Good luck OP!